Before you run out and format everything as exFAT, you should understand its limitations—and they aren’t insignificant. exFAT has no file system-level encryption or compression support, and, like FAT32 before it, there is no journaling built into the exFAT file system. This means it has a much higher probability of data loss than with NTFS or HFS+.
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That's not it. exFAT also isn’t supported by Time Machine in OS X, which requires an HFS+ volume. Another odd limitation of exFAT support in OS X is that you can’t create a software RAID array in exFAT format, but you can do it with the FAT32 format. It also has very limited permission and ACL support for those who need to isolate different users from certain files. If you're just planning on sharing a video or music library, this isn't a problem. Still, the lack of journaling could be problematic. In the limited testing I did, bundled OS X applications launched fine from an exFAT volume. I wouldn’t recommend installing apps to a non-HFS+ volume, though, since the lack of permissions support could probably cause issues with larger applications.
